The Market Timing Power of Moving Averages: Evidence from US REITs and REIT Indexes
“The abnormal returns are largely insensitive to the four Carhart (1997) factors and produce economically and statistically significant alphas of between 10% and 15% per year after transaction costs.”
AssetReal estate
StrategyMarket timingnews sentiment
GeographyUS
FrequencyMonthly
Also stated: Alpha, Excess return, Profit, t-statistic, Long-only, Price and volume, Text and news, benchmark, costs
Missing from abstract: out-of-sample test, multiple testing, universe
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The paper's neighbourhoodMarket timing and tactical asset allocation by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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